We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market risk include an additional stress component introduced...

Financial Risk Management is a topic of primary importance in financial markets and, more generally, in life. Risk can be seen as an opportunity if related to the concept of compensative return. It is therefore important to learn how to measure and control risk, in order to get exposure to as...